desla
Desparsified Lasso Inference for Time Series
Calculates the desparsified lasso as originally introduced in van de Geer et al. (2014) <doi:10.1214/14-AOS1221>, and provides inference suitable for high-dimensional time series, based on the long run covariance estimator in Adamek et al. (2020) <doi:10.48550/arXiv.2007.10952>. Also estimates high-dimensional local projections by the desparsified lasso, as described in Adamek et al. (2022) <doi:10.48550/arXiv.2209.03218>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.3.1 |
rolling linux/jammy R-4.5 | desla_0.3.1.tar.gz |
650.0 KiB |
0.3.1 |
rolling linux/noble R-4.5 | desla_0.3.1.tar.gz |
658.9 KiB |
0.3.1 |
rolling source/ R- | desla_0.3.1.tar.gz |
446.8 KiB |
0.3.1 |
latest linux/jammy R-4.5 | desla_0.3.1.tar.gz |
650.0 KiB |
0.3.1 |
latest linux/noble R-4.5 | desla_0.3.1.tar.gz |
658.9 KiB |
0.3.1 |
latest source/ R- | desla_0.3.1.tar.gz |
446.8 KiB |
0.3.1 |
2026-04-26 source/ R- | desla_0.3.1.tar.gz |
446.8 KiB |
0.3.1 |
2026-04-23 source/ R- | desla_0.3.1.tar.gz |
446.8 KiB |
0.3.1 |
2026-04-09 windows/windows R-4.5 | desla_0.3.1.zip |
1.0 MiB |
0.3.0 |
2025-04-20 source/ R- | desla_0.3.0.tar.gz |
51.9 KiB |